The approximate moments of the least squares estimator for the stationary autoregressive model under a general error distribution

DOI10.1017/S0266466607070405zbMATH Open1237.62110OpenAlexW2162265815MaRDI QIDQ2886973FDOQ2886973

Authors: Yong Bao 

Publication date: 14 May 2012

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466607070405

Recommendations

• Moment approximation for least-squares estimator in first-order regression models with unit root and nonnormal errors
• Exact distributions, density functions and moments of the least squares estimator in a first-order autoregressive model
• DISTRIBUTION OF THE LEAST SQUARES ESTIMATOR IN A FIRST-ORDER AUTOREGRESSIVE MODEL
• The exact moments of OLS in dynamic regression models with non-normal errors
• APPROXIMATE DISTRIBUTION OF PARAMETER ESTIMATORS FOR FIRST-ORDER AUTOREGRESSIVE MODELS

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10)

Cites Work

• The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations
• Asymptotic expansions for the mean and variance of the serial correlation coefficient
• The exact moments of the least squares estimator for the autoregressive model
• Approximations to Some Finite Sample Distributions Associated with a First-Order Stochastic Difference Equation
• A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model
• Testing for Unit Roots: 2
• The exact moments of OLS in dynamic regression models with non-normal errors
• Properties of shrinkage estimators in linear regression when disturbances are not normal

Cited In (20)

• The exact moments of OLS in dynamic regression models with non-normal errors
• Expectation of quadratic forms in normal and nonnormal variables with applications
• Least squares bias in time series with moderate deviations from a unit root
• Moment approximation for least‐squares estimators in dynamic regression models with a unit root
• Joint confidence sets for structural impulse responses
• Improved variance estimation of maximum likelihood estimators in stable first-order dynamic regression models
• Impulse response matching estimators for DSGE models
• The second-order bias and mean squared error of estimators in time-series models
• Regressor and disturbance have moments of all orders, least squares estimator has none
• Title not available (Why is that?)
• Asymptotic Moments of Autoregressive Estimators with a Near Unit Root and Minimax Risk
• Title not available (Why is that?)
• Improving the estimation and predictions of small time series models
• DISTRIBUTION OF THE LEAST SQUARES ESTIMATOR IN A FIRST-ORDER AUTOREGRESSIVE MODEL
• Bias in the estimation of the mean reversion parameter in continuous time models
• Title not available (Why is that?)
• Higher-order asymptotic expansions of the least-squares estimation bias in first-order dynamic regression models
• Moment approximation for least-squares estimator in first-order regression models with unit root and nonnormal errors
• Finite-sample properties of forecasts from the stationary first-order autoregressive model under a general error distribution
• Jackknife estimation of stationary autoregressive models

This page was built for publication: The approximate moments of the least squares estimator for the stationary autoregressive model under a general error distribution

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2886973)